This list contains references from the content that can be linked to their source. For a full set of references and notes please see the PDF or HTML where available.
C. Bender and R. Denk , A forward scheme for backward SDEs, Stochastic Process. Appl., 117 (2007), pp. 1793–1812.
B. Bouchard and N. Touzi , Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations, Stochastic Process. Appl., 111 (2004), pp. 175–206.
A. Bourlioux , A.T. Layton , M.L. Minion , High-order multi-implicit spectral deferre correction methods for problems of reactive flow, J. Comput. Phys., 189 (2003), pp. 351–376.
A. Dutt , L. Greengard and V. Rokhlin , Spectral deferred correction methods for ordinary differential equations, BIT, 40 (2000), pp. 241–266.
X. Feng , T. Tang and J. Yang , Long time numerical simulations for phase-field problems using p-adaptive spectral deferred correction methods, SIAM J. Sci. Comput., 37 (2015), A2710–A294.
E. Hairer , On the order of iterated defect correction, Numer. Math.
29 (1978), pp. 409–424.
A. Hansen and J. Strain , On the order of deferred correction, Appl. Numer. Math., 61 (2011), pp. 961–973.
G. N. Milstein and M. V. Tretyakov , Numerical algorithms for forward-backward stochastic differential equations, SIAM J. Sci. Comput., 28 (2006), pp. 561–582.
E. Pardoux and S. Peng , Adapted solution of a backword stochastic differential equaion, Systems Control Lett., 14 (1990), pp. 55–61.
T. Tang , H. Xie and X. Yin , High-order convergence of spectral deferred correction method on general quadrature nodes, J. Sci. Comput., 56 (2013), pp. 1–13.
V. Pereyra , Iterated deferred correction for nonlinear boundary value problems, Numer. Math., 11 (1968), pp. 111–125.
W. Zhao , L. Chen and S. Peng , A new kind of accurate numerical method for backward stochastic differential equations, SIAM J. Sci. Comput., 28 (2006), pp. 1563–1581.
W. Zhao , Y. Fu and T. Zhou , New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations, SIAM J. Sci. Comput., 36(4) (2014), pp. A1731–1751.